Information linkages between emission allowance and energy markets
Date
2016-09-01
Authors
Schultz, Emma
Swieringa, John
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Publisher
Blackwell Publishing Ltd
Abstract
We employ a rational expectations framework similar to that proposed by Fleming et al. (1998) to examine the source, and nature of, information
linkages between the emission allowance and energy markets as gauged by the correlation of return volatilities. Estimating the model for bivariate pairings of
securities suggests that market linkages arise from sensitivities to common information rather than from indirect spillovers, with emission allowances most strongly linked to the crude oil market.
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Keywords
Information linkages, Volatility, Emission allowance markets, Energy markets
Citation
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Source
Accounting and Finance
Type
Journal article
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Restricted until
2037-12-31
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